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Markowitz Modeline Dayali Optimal Portfoy Seciminde Islem Hacmi Kisiti

Author

Listed:
  • Umut UYAR

    (Pamukkale Universitesi,Iktisadi ve Idari Birimler Fakultesi, Isletme Bolumu)

  • Sinem Guler KANGALLI

    (Pamukkale Universitesi, Iktisadi ve Idari Birimler Fakultesi, Ekonometri Bolumu)

Abstract

Menkul kiymetler acisindan portfoy, riski azaltmak ve ustlenilen riske gore en yuksek getiriyi saglamak amaci ile en az iki menkul kiymetten olusan bir havuzdur. Yatirimcilar, beklenen getirilerini maksimize edecek, en dusuk risk duzeyine sahip olan, portfoy karmasini olusturmayi amaclar. Soz konusu beklenen getiriler cercevesinde konulan tercih kisitlari da menkul kiymet karmasinin olusturulmasinda yapisal oneme sahiptir. Portfoy seciminde etkili olabilecek tercih kisitlari arasinda, yatirimcilarin hem bireysel kararlari, hem de ekonomik gostergelerden kaynaklanan kararlari yer alabilir. Tum bu beklenen getiri, risk ve kisitlar cercevesinde en uygun menkul kiymet karmasinin olusturulmasina portfoy optimizasyonu adi verilmektedir. Calismada, IMKB-30 ‘da islem goren hisse senetlerinden olusan portfoyler olusturulmustur. Markowitz’in ortalama varyansa dayali portfoy optimizasyonu yontemi cercevesinde, hisse senetlerinin islem hacmi duzeylerinin optimum portfoyun olusturulmasinda etkisinin olculebilmesi amaciyla, tercih kisitlari icerisine islem hacmi dahil edilmistir. Yapilan analizde, islem hacminin yatirimcilarin portfoy secimini etkileyebilecek bir kisit oldugu sonucuna ulasilmistir.

Suggested Citation

  • Umut UYAR & Sinem Guler KANGALLI, 2012. "Markowitz Modeline Dayali Optimal Portfoy Seciminde Islem Hacmi Kisiti," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 12(2), pages 183-192.
    • Handle: RePEc:ege:journl:v:12:y:2012:i:2:p:183-192
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    More about this item

    Keywords

    Portfoy optimizasyonu; markowitz modeli; islem hacmi kisiti;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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